I’m testing two strategies with the same AI Factor ranking system and the same buy rules, but different sell rules.
Version 1 has about 100 to 80% annual turnover, with lower performance.
Version 2 has about 300 to 200% annual turnover, but much better backtest results.
For those who trade P123 strategies live through Interactive Brokers, how dangerous is this level of turnover in practice?
Could slippage, bid/ask spreads, commissions, and liquidity issues realistically kill the edge of a 20 to 60-stock strategy with 200%–400% annual turnover?
I would really appreciate any real-world feedback on execution quality, portfolio capacity, and practical slippage assumptions when using IBKR.
It s sustainable this turnover with the number of assets that are you managing. Recall to put commissions in your sims according with your broker, slippage variable and price for transactions Average of Next High, low, and 2xclose... Nice setup and cautious, and try to test longer periods in the past...not just last 5 years
I've been running 5X to 6X turnover strategies for over ten years, and haven't had a single negative year, with a 40% CAGR. I only used IBKR for a relatively short period, and slippage and commissions were higher with them than they were with Fidelity, but I can't imagine it would have made a huge difference--1% or 2% per year at most. I wouldn't expect any major problems with this level of turnover.
ScifoSpace, thank you , this is very helpful feedback.
Yuval — thanks for sharing your real-world experience. That is exactly the type of practical feedback I was looking for.
If you don’t mind sharing, how many positions do you typically hold at the same time across these high-turnover strategies? Around 20–30, 50–60, or closer to 100+ open positions?
Also, what approximate portfolio size/capital range were you running with this approach?
I’m trying to understand how much the number of open positions and total capital affect execution quality, slippage, and capacity.
